Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0056 |
| Annualized Std Dev | 0.1624 |
| Annualized Sharpe (Rf=0%) | -0.0344 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1282 |
| Quartile 1 | -0.0044 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0046 |
| Maximum | 0.1822 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | 0.1095 |
| Kurtosis | 33.1836 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0085 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.4991 |
| Historical VaR (95%) | -0.0141 |
| Historical ES (95%) | -0.0244 |
| Modified VaR (95%) | -0.0096 |
| Modified ES (95%) | -0.0096 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-30 | 2008-10-10 | 2012-06-28 | -0.4991 | 2079 | 1143 | 936 |
| 2012-10-26 | 2020-03-23 | NA | -0.4250 | 2112 | 1861 | NA |
| 1999-01-07 | 2000-03-13 | 2003-05-06 | -0.2930 | 1087 | 298 | 789 |
| 2003-06-06 | 2003-08-15 | 2004-01-14 | -0.1140 | 154 | 50 | 104 |
| 2012-07-30 | 2012-08-22 | 2012-10-03 | -0.0724 | 47 | 18 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | -0.7 | 0 | 1.6 | 0.8 | 0.8 | 0 | 0.9 | 7.1 |
| 2000 | -0.8 | 0.9 | -0.8 | 1.7 | 1.7 | -0.8 | 0.8 | 0 | 0.8 | -1.6 | 0.8 | 0 | 2.5 |
| 2001 | -2.4 | 0.9 | 0.8 | -0.5 | 0.9 | 0.7 | -2.1 | 0.4 | 1.7 | 1.4 | -0.1 | 0.2 | 1.9 |
| 2002 | 1.7 | -0.4 | 1.3 | 0.5 | 0.9 | 0.7 | 0.4 | -0.3 | -0.5 | 0.7 | 0.5 | 0.5 | 5.8 |
| 2003 | 0.5 | 1.2 | -0.1 | 0 | 0 | -0.3 | -0.5 | -0.3 | -0.1 | -0.2 | 0 | 0.7 | 0.8 |
| 2004 | 0.2 | 0 | -1.3 | 0.5 | -0.3 | 0.5 | -0.1 | 0.1 | 0.2 | 0.4 | 0.3 | -0.4 | 0.1 |
| 2005 | -0.4 | 0 | 0.8 | 0 | 1.2 | -0.2 | -0.6 | 1.2 | 0.2 | -0.1 | -0.1 | 0.3 | 2.2 |
| 2006 | -0.1 | -0.4 | 0.5 | 0 | 1.2 | 0.1 | 0.7 | 0.4 | 0.5 | 0.4 | 0.1 | -0.2 | 3.2 |
| 2007 | 0.1 | -0.6 | -0.2 | 0.6 | -0.4 | 0.3 | 0.8 | -0.6 | 0.8 | -1.6 | 0.7 | 0.7 | 0.7 |
| 2008 | -0.6 | 0.7 | 0.6 | 0.5 | 0.5 | 0.9 | -0.7 | 0.1 | 0.3 | 1.9 | -3.4 | 0.6 | 1.3 |
| 2009 | -0.7 | 2.2 | 1 | 0.4 | 1 | 0.1 | 1.4 | -1 | 0.2 | 0.7 | -0.5 | 0 | 5.1 |
| 2010 | 0 | -0.1 | 0.8 | 0.4 | -1 | -0.8 | 0.2 | -0.5 | 0.6 | 0.9 | -0.4 | 2.8 | 2.9 |
| 2011 | 0.2 | 0.6 | -0.9 | 2 | -0.1 | 0.5 | 3.6 | -0.1 | 0.6 | -0.4 | -1.2 | -0.3 | 4.4 |
| 2012 | 0.2 | -0.9 | 0.7 | 0.7 | -0.4 | 0.5 | 0.6 | 0.3 | -0.1 | 2.5 | 0.4 | -1.2 | 3.2 |
| 2013 | -0.6 | 0.3 | -1.2 | 0.2 | -1.7 | 0.5 | -0.9 | -0.7 | -0.7 | -1.2 | 0.5 | -0.6 | -6 |
| 2014 | 0.5 | 0.3 | 1.1 | 0.7 | -0.3 | 0 | -0.3 | 0.2 | 0.7 | 0.4 | 0.3 | 0.4 | 4 |
| 2015 | 0.2 | 1.7 | 0 | -0.8 | 0.6 | -0.6 | 0.7 | 0.3 | -0.3 | 0.2 | 0.6 | -0.3 | 2.3 |
| 2016 | 0.6 | 0.2 | 0.2 | -0.2 | 0.6 | -0.2 | -0.7 | 0.5 | -1 | 0.3 | -1.4 | 0.1 | -0.9 |
| 2017 | -0.3 | -0.8 | -0.3 | 0.6 | 0.3 | 0.6 | 0.3 | -0.6 | -0.5 | 0.2 | 0.3 | 0.6 | 0.3 |
| 2018 | -0.1 | -0.1 | 1.1 | 0.5 | 0 | 0.9 | -0.4 | 0.2 | 0 | 0.9 | 0.5 | 0 | 3.6 |
| 2019 | 0.3 | 0.4 | 0.5 | 0.5 | 0.7 | 0.2 | 0.2 | 2.1 | -1.2 | 0.2 | 0.5 | -0.1 | 4.3 |
| 2020 | 0 | -7.5 | -2.7 | 0.9 | 0.7 | 0.2 | 0.3 | 0.5 | -1.7 | 0.2 | -0.5 | 1.1 | -8.3 |
| 2021 | 0.3 | -0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
